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Re: st: What size impulse in VAR/VEC irf/oirf?

From   Robert A Yaffee <>
Subject   Re: st: What size impulse in VAR/VEC irf/oirf?
Date   Mon, 06 Apr 2009 16:55:22 -0400

  The assumption is that this is a unit impulse in the IRF or OIRF
But if the variables in the VAR or VECM have different scales, you
may wish to employ a std dev instead of a unit impulse, according
to Lutkepohl.H.  New Introduction to Multiple Time Series Analysis,
Springer, Chapter 2.

Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University



----- Original Message -----
From: Diego Navarro <>
Date: Monday, April 6, 2009 12:38 pm
Subject: st: What size impulse in VAR/VEC irf/oirf?

> One thing I can't seem to find in any documentation -- what's the size
> of the impulse when calculating IRFs and OIRFs via <irf create,
> step(x)>? That is, what does it mean, when the first-period OIRF is
> 0.4, for example?
> --
> Diego Navarro
> FGV Projetos
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